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Derivative Report

India Research
The Nifty futures open interest decreased by 28.45%

Nifty Vs OI

Feb 27, 2012

while Minifty futures open interest in decreased by 37.27% as market closed at 5429.30 levels.
The Nifty March. future closed at a Premium of 58.15

point against a Premium of 55.70 points. The March series closed at a Premium of 90.45 points.
The Implied Volatility of at the money options is

increased from 22.65% to 23.50%.

The PCR-OI has being decreased from 1.57 to 1.33

The total OI of the market is `1,02,590/-cr. and the

stock futures OI are `30,678/-cr.

Few of the liquid counters where we have seen high cost-


OI Gainers
SCRIP OFSS BOSCHLTD DHANBANK STRTECH OI 269875 12000 5504000 6016000 OI CHANGE (%) 31.97 14.29 3.85 1.90 PRICE 2583.90 7855.20 69.80 45.40 PRICE CHANGE (%) 16.70 2.71 7.63 4.01 -

FIIs were net buyers in cash market segment in

Fridays trading session. On derivatives front they were net buyers in both index futures and in index options.
On options front 5700 call option have seen some

buildup in open interest; while in put option 5200 and 5300 strike price have seen maximum buildup of open interest in Fridays trading session.
We have seen good amount of accumulation in the

OI Losers
SCRIP CUMMINSIND BAJAJHLDNG BRFL UNITECH JUBLFOOD OI 142500 34500 285000 36112000 531500 OI CHANGE (%) -49.20 -46.51 -45.92 -44.98 -42.28 PRICE 462.95 803.15 260.80 32.45 1004.20 PRICE CHANGE (%) -0.17 0.26 -0.29 0.93 -0.22

counter of ORCHIDCHEM in past few trading sessions and we feel the buildup is both on long and short side. However in last 3-4 trading session the stock has seen good amount of build nearby its support zone of `172-175 levels and we feel majority of the buildup is on the longer side. We expect a mix of both long formation and short covering rally to follow in this counter which could take the stock to around `193. Hence we recommend to go long with the stop loss of `172.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.33 0.59 0.89 0.42 0.68 PCR-VOL 1.08 0.54 0.80 0.60 0.65

Historical Volatility

89.31 28.44 31.18 28.25 47.83 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 24-Feb-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 13,396 35,490 26,575 758 89,586 Change (%) 2.30 3.56 0.84 3.69 26.77

Turnover on 24-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)




338.01 1,102.54 (672.46) (25.86)

488,933 1,307,418 902,567 25,495 3,247,159


527792 1906502 565866 122649 3122809

13599 52955.26 16597.29 3793.52 86945.06

-47.06 -71.58 -57.73 -49.19 -66.40

13396.85 12294.31 1782.42 665.83 2454.88 691.69

26489.66 26489.66 (1,066.19)

Nifty Spot =5429.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 203.35 147.20 203.35 101.25 147.20 101.25 45.95 54.05 5545.95 102.10 97.90 5502.10 Risk 56.15 Reward 43.85 BEP 5456.15

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 118.30 86.20 118.30 60.85 86.20 60.85 25.35 74.65 5274.65 57.45 142.55 5342.55 Risk 32.10 Reward 67.90 BEP 5367.90

Note: Above mentioned Bullish or Bearish Spreads in Nifty (March. Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date




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